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Cao, Jin; Illing, Gerhard - 2009

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available …

Persistent link: https://www.econbiz.de/10003833348

Liquidity shortages and monetary policy

Cao, Jin (contributor); Illing, Gerhard (contributor) - 2008

Persistent link: https://www.econbiz.de/10003635213

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015158136

Bank concentration and monetary policy pass-through

Gödl-Hanisch, Isabel - 2023

This paper analyzes the implications of the gradual rise in bank concentration since the 1990s for the transmission of monetary policy. I use branch-level data on deposit and loan rates to evaluate the monetary policy pass-through conditional on the level of local bank concentration and bank...

Persistent link: https://www.econbiz.de/10014251891

An extended macro-finance model with financial factors

Dewachter, Hans; Iania, Leonardo - 2010

, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

Persistent link: https://www.econbiz.de/10003937808

Common monetary policy with asymmetric shocks

Gros, Daniel; Hefeker, Carsten - 2002

What policy objective should a common central bank in a heterogeneous monetary union pursue? Should it base its decisions on the EU-wide average of inflation and growth or should it instead focus on (appropriately weighted) national welfare losses based on national rates of inflation and growth?...

Persistent link: https://www.econbiz.de/10011409772

Heterogeneous consumers, segmented asset markets, and the real effects of monetary policy

Enders, Zeno - 2017

predicts a short-term inflation-output trade-off, a liquidity effect, countercyclical markups, and procyclical wages after …

Persistent link: https://www.econbiz.de/10011653639

One size must fit all : national divergences in a monetary union

Gros, Daniel; Hefeker, Carsten - 2000

What policy objective should a common central bank in a heterogeneous monetary union pursue? Should it base its decisions on the EU-wide average of inflation and growth or should it instead focus on (appropriately weighted) national rates of inflation and growth? We find that a central bank that...

Persistent link: https://www.econbiz.de/10009781604

Monetary policy, sectoral comovement and the credit channel

Di Pace, Federico; Görtz, Christoph - 2021

Persistent link: https://www.econbiz.de/10012546900

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575